tlsloader.py is python script that can be used as a PyCommand within Immunity Debugger to load a PE file, set breakpoints on all TLS callback functions, and stop execution at the first TLS callback function. Just place it within the PyCommands directory and type "!tlsloader <path_to_file>" in the command box to run it. Additional details will be written to the Log window (Alt + L).
Usage of this PyCommand requires you to configure the debugger to make its first pause at the system breakpoint (which not the default setting). To make this change, go to "Options" -> "Debugging options" -> [Events]. I don't believe that the python API allows me to do this automatically (or at least I didn't find it).
If the PE file doesn't contain any TLS callback functions, execution will be paused at the entry point as defined in the PE header. Note: this script does not currently work on DLLs.